Driven by a need to study datasets that exhibit abrupt changes in distribution, often across time, the field of change-point analysis has received a great deal of attention in recent years. Application areas where such data are common include biochemistry [1]}, finance [2]}, [3]}, genomics [4]}, quality monitoring [5]} and speech processing [6]}, to name a few. Perhaps the simplest model studied involves data \(Y=(Y_1,\ldots ,Y_n) \in \mathbb {R}^n\)  satisfying
\( Y_i = \mu _i + \varepsilon _i, \qquad i=1,\ldots ,n,\) 
